Why does glass material not show in Blenders game engine when it is running?
First be warned the BGE is currently extremely buggy. Some settings lead to unreproducible effects. Sometimes GLSL renders everything white in the internal player but the external still works (Reloading the .blend or restarting Blender fixes this). Everytime I try to reproduce it with a saved file it doesn't happen (so I can't file a bug-report).

Setup of transparent material:



For other materials of faces that become visible through the transparency of the windows disable Backface Culling otherwise the faces wouldn't be rendered because Blender would assume that the faces aren't visible.

A simple scene with left window without faces and right window with z-tranparency material.

Shading Mode set to Multitexture:



Shading Mode set to GLSL



You find the Shading  Mode in the 3D Viewport's properties panel:



Demo .blend